Nasdaq Last Sale Plus (NLS+)Nasdaq Last Sale Plus (NLS+) Product Overview Nasdaq Last Sale (NLS) Plus is a comprehensive, affordable data feed providing access to all Nasdaq U.S. market

Nasdaq Last Sale Plus (NLS+)

Product Overview

Nasdaq Last Sale (NLS) Plus is a comprehensive, affordable data feed providing access to all Nasdaq U.S.

market last sale data as well as consolidated volume. NLS Plus includes all trade data from the following

Nasdaq markets for U.S. exchange-listed securities:

• The Nasdaq Stock Market (Nasdaq)

• FINRA Trade Reporting Facility® (TRF®) operated in partnership with Nasdaq (“FINRA/Nasdaq

TRF”)

• Nasdaq BX (BX)

• Nasdaq PSX (PSX)

NLS Plus also provides consolidated volume information as part of each trade message. Market data

distributors are encouraged to use NLS Plus to create enhanced Nasdaq Last Sale and Nasdaq Basic

displays.

NLS Plus will be delivery via two data channels:

Channel Name

1 (NLSUTP) Nasdaq trades with real-time consolidated volume for Nasdaq-listed securities

2 (NLSCTA) Nasdaq trades with real-time consolidated volume for NYSE-, NYSE MKT-, NYSE Arca, BATS-, and other listed securities

Publisher

Nasdaq Global Information Services equips investors with the tools to make informed decisions by

providing innovative real-time and historical analytic products and intelligent solutions designed to tap

new data sets and meet new industry challenges. Nasdaq Data Cloud Services via Quandl eliminates

infrastructure and resource obstacles from collecting and storing large data sets, providing tools with

industry adopted open standards to ingest and analyze market data and other financial information. To

learn more about the company, technology solutions and career opportunities, visit us on LinkedIn, on

Twitter @Nasdaq, or at www.nasdaq.com.

Data Types

All integer fields are big-endian (network byte order) binary encoded numbers. Unless otherwise noted, they are unsigned.

Prices are integer fields, supplied with an associated precision. Unless specifically denoted as a Signed Price, Prices are unsigned. When converted to a decimal format, prices are in fixed point format, where the

precision defines the number of decimal places. For example, a Price (4) field has an implied 4 decimal places. The maximum value of a Price (4) in NLS Plus is 200,000.0000 (decimal, 77359400 hex). In certain rare instances, the maximum price can exceed 200,000.0000

Timestamp reflects the Nasdaq system time at which the outbound message was generated. Nasdaq states time as the number of nanoseconds past midnight. The time zone is U.S. Eastern Time.

http://www.nasdaqtrader.com/Trader.aspx?id=NLSplus

https://www.linkedin.com/company/nasdaq/

https://twitter.com/Nasdaq

http://www.nasdaq.com/

All alphanumeric fields are left-justified, ASCII fields. Padding spaces appear on the right as necessary.

Delivery

Nasdaq Cloud Data Service (NCDS) provides a modern and efficient method of delivery for realtime exchange data and other financial information. Data is made available through a suite of APIs, allowing for effortless integration of data from disparate sources, and a dramatic reduction in time to market for customer-designed applications. The API is highly scalable, and robust enough to support the delivery of real-time exchange data.

This repository provides an SDK for developing applications to access the NCDS API. While the SDK is open source, connecting to the API does require credentials, which are provided by Nasdaq during an on- boarding process.

For more information please use the link- https://github.com/Nasdaq/CloudDataService

https://github.com/Nasdaq/CloudDataService

Contents

Product Overview ........................................................................................................... 1

Publisher ........................................................................................................................ 1

Data Types ..................................................................................................................... 1

Delivery .......................................................................................................................... 2

Contents ......................................................................................................................... 3

System Event Message:................................................................................................... 6

Details: ........................................................................................................................... 6

Schema: .......................................................................................................................... 7

Sample: .......................................................................................................................... 7

Trade Report for Non-NextShares: .................................................................................. 8

Details: ........................................................................................................................... 8

Schema: ........................................................................................................................ 11

Sample: ........................................................................................................................ 12

Trade Report for NextShares: ........................................................................................ 13

Details: ......................................................................................................................... 13

Schema: ........................................................................................................................ 16

Sample: ........................................................................................................................ 17

Trade Cancel/Error for non-NextShares Trades: ............................................................. 18

Details: ......................................................................................................................... 18

Schema: ........................................................................................................................ 19

Sample: ........................................................................................................................ 21

Trade Cancel/Error for NextShares Trades: .................................................................... 21

Details: ......................................................................................................................... 21

Schema: ........................................................................................................................ 23

Sample: ........................................................................................................................ 24

Trade Correction for non-NextShares Trades: ................................................................ 24

Details: ......................................................................................................................... 24

Schema: ........................................................................................................................ 26

Sample: ........................................................................................................................ 28

Trade Correction for NextShares Trades: ....................................................................... 28

Details: ......................................................................................................................... 28

Schema: ........................................................................................................................ 30

Sample: ........................................................................................................................ 32

Administrative Messages .............................................................................................. 32

Stock Trading Action: .................................................................................................... 32

Details: ......................................................................................................................... 33

Schema: ........................................................................................................................ 34

Sample: ........................................................................................................................ 35

Stock Directory: ............................................................................................................ 35

Details: ......................................................................................................................... 35

Schema: ........................................................................................................................ 39

Sample: ........................................................................................................................ 41

Regulation SHO Short Sale Price Test Restricted Indicator: ............................................ 42

Details: ......................................................................................................................... 42

Schema: ........................................................................................................................ 43

Sample: ........................................................................................................................ 44

Adjusted Closing Price: .................................................................................................. 44

Details: ......................................................................................................................... 44

Schema: ........................................................................................................................ 45

Sample: ........................................................................................................................ 46

End of Day Trade Summary: .......................................................................................... 46

Details: ......................................................................................................................... 46

Schema: ........................................................................................................................ 47

Sample: ........................................................................................................................ 48

End of Day Trade Summary – NextShares: ..................................................................... 48

Details: ......................................................................................................................... 49

Schema: ........................................................................................................................ 50

Sample: ........................................................................................................................ 51

IPO Information: ........................................................................................................... 51

Details: ......................................................................................................................... 52

Schema: ........................................................................................................................ 53

Sample ......................................................................................................................... 54

Market-Wide Circuit Breaker (MWCB) Message – Decline Level: .................................... 54

Details: ......................................................................................................................... 54

Schema: ........................................................................................................................ 54

Sample: ........................................................................................................................ 55

Market-Wide Circuit Breaker (MWCB) Message – Status: .............................................. 55

Details: ......................................................................................................................... 56

Schema: ........................................................................................................................ 56

Sample: ........................................................................................................................ 57

IPO Quoting Period Update: .......................................................................................... 57

Details: ......................................................................................................................... 57

Schema: ........................................................................................................................ 58

Sample: ........................................................................................................................ 59

Operational Halt: .......................................................................................................... 59

Details: ......................................................................................................................... 59

Schema: ........................................................................................................................ 60

Sample: ........................................................................................................................ 61

Appendix A – Last Sale Processing ................................................................................. 62

a) Last Sale Calculation .............................................................................................. 62

b) Last Trade Calculation ............................................................................................ 65

c) Net Change Calculation ........................................................................................... 65

d) Consolidated Volume .............................................................................................. 65

Appendix B – Sale Condition Modifier Definitions .......................................................... 67

Appendix C - Stock Symbol Convention .......................................................................... 69

Appendix D – Trading Action Reason Codes ................................................................... 70

Appendix E - Issue Classification Values ......................................................................... 72

Appendix F - Issue Sub-Type Values ............................................................................... 73

Message Formats

System Event Message:

System Event Messages is used to signal key market or data feed control events.

Details:

Field Name Type Description

SOUP Partition SoupPartition Int Message partition identifier. Ignore.

SOUP Sequence SoupSequence long Auto-incrementing message sequence number.

Tracking Number trackingID long Message Tracking number, compound key containing:

• bytes 0-1 = Nasdaq internal tracking number

• bytes 2-7 = Timestamp in nanoseconds from midnight

See the TrackingID class in the com.nasdaq.ncdsclient.internal.utils

package within the SDK.

Message Type msgType string T = Trade Report

Event Code event string NLS Plus events for which the message is being generated. Possible values:

Code Value

O Start of Transmissions: Denotes that the NLS Plus system has started its daily transmission schedule.

S Start of System Hours: This message indicates that Nasdaq is open and ready to start accepting orders.

Q Start of Market Hours: Denotes the start of the regular US market session. Traditionally, only trade transactions reported during the regular market session are considered to be “last sale” eligible.

M End of Market Hours: Denotes the end of the regular US session

E End of System Hours: Indicates that Nasdaq is now closed and will not accept any new orders today.

C End of Transmissions: Denotes that the NLS Plus system has ended its daily transmission schedule.

Schema:

{ "type": "record", "name": "SeqSystemEventMessage", "namespace": "com.nasdaq.equities.island.applications.datafeed.nls.messaging.nls21", "fields": [

{ "name": "SoupPartition", "type": "int"

}, {

"name": "SoupSequence", "type": "long"

}, {

"name": "trackingID", "type": "long"

}, {

"name": "msgType", "type": "string"

}, {

"name": "event", "type": "string"

} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 1, "trackingID": 7238625218217,

"msgType": "T", "event": "O"

}

Trade Report for Non-NextShares: The following message is used to relay Nasdaq execution system and TRF trade transactions that are reported for the current business day. Please note that Nasdaq only reports one-side of a trade execution on the Nasdaq Last Sale (NLS Plus) feed and other data feed products. See Appendix B for a description of each sale condition modifier.

Details:









Message Type msgType string T = Trade Report

Originating Market Center Identifier

marketCenter string Denotes the Nasdaq market system that generated the trade report message. The allowable values are:

Issue Symbol symbol string Denotes the Nasdaq-assigned issue symbol of the security for which the trade report is being generated. For details on Nasdaq symbology, please refer to Appendix B.

Security Class securityClass string Indicates the primary listing market for the issue. Allowable values are:

Code Value

Q The Nasdaq Stock Market

L Nasdaq/FINRA Trade Reporting Facility (TRF) Cartaret

2 Nasdaq/FINRA Trade Reporting Facility (TRF) Chicago

B Nasdaq BX (BX)

X Nasdaq PSX (PSX)

Code Value

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS

V Investors’ Exchange, LLC

Trade Control Number

controlNumber string Indicates the source's internal control number associated with the given trade transaction.

Please note that the Trade Control Number is specific to the source system reflected in the Market Center ID field. This number is used as a key field for trade cancellations and trade corrections.

Trade Price price Int The price associated with the trade transaction being reported. Refer to Data Types for field processing NLS Plus.

Trade Size size Int Indicates the reported number of shares on the trade transaction.

Sale Condition Modifier

saleCondition string Sale condition modifier consists of four levels as defined below.

Level 1 Used for Settlement Type information. Allowable values are: Allowable values are:

Code Value

@ Regular Settlement

C Cash Settlement

N Next Day Settlement

R Seller Settlement

Level 2

Used for SEC Regulation NMS Trade Through Exemption Codes. Allowable values are:

Code Value

F Intermarket Sweep

O Opening Print

4 Derivative Priced

5 Re-Opening Print

6 Closing Print

7 Qualified Contingent Trade (QCT)

<space> Not applicable

Level 3 Used for Extended Hours or Sold Codes. Allowable values are:

Code Value

T Extended Hours Trade

U Extended Hours Trade – Reported Late or Out of Sequence

L Sold Last – Reported Late But In Sequence

Z Sold – Out of Sequence


Level 4 Used for special sale condition codes. Please note that this field is case sensitive. Allowable values are:

Code Value

A Acquisition

B Bunched

D Distribution

H Price Variation Transaction

M Nasdaq Official Close Price (NOCP)

http://www.nasdaqtrader.com/Trader.aspx?id=RegNMS

P Prior Reference Price

Q Nasdaq Official Opening Price (NOOP)

S Split Trade

V Contingent Trade

W Average Price Trade1

X Cross Trade

o Odd lot execution

x Odd Lot Cross execution


Consolidated Volume

cosolidatedVolume long Reflects the volume for the Issue Symbol as reported on the consolidated market data feed at the time that the trade message was generated. See Appendix A for calculation and dissemination information for this data element.

Schema:

{ "type": "record",

"name": "SeqTradeReportMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {

"name": "marketCenter", "type": "string"

}, {

"name": "symbol",

"type": "string" }, {

"name": "securityClass", "type": "string"

}, {

"name": "controlNumber", "type": "string"

}, {

"name": "price", "type": "int"

}, {

"name": "size", "type": "int"

}, {

"name": "saleCondition", "type": "string"

}, {

"name": "cosolidatedVolume", "type": "long"

} ]

}

Sample:

{

"SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "T",

"marketCenter": "Q", "symbol": "ZVZZT", "securityClass": "Q", "controlNumber": "12345",

"price": 101.12, "size": 500, "saleCondition": "@4LB", "cosolidatedVolume": 25542

}

Trade Report for NextShares: The following message is used to relay Nasdaq execution system and TRF trade transactions that are reported for the current business day. Please note that Nasdaq only reports one-side of a trade execution on the Nasdaq Last Sale (NLS Plus) feed and other data feed products. See Appendix B for a description of each sale condition modifier.

Details:









Message Type msgType string M = Trade Report


marketCenter string Denotes the Nasdaq market system that generated the trade report message. The allowable values are:

NextShares Symbol symbol string Denotes the NextShares symbol for which the trade report is being generated.


Code Value

Code Value

Q The Nasdaq Stock Market

L Nasdaq/FINRA Trade Reporting Facility (TRF) Cartaret


B Nasdaq BX (BX)

X Nasdaq PSX (PSX)

Q Nasdaq

Trade Control Number

controlNumber string Indicates the source's internal control number associated with the given trade transaction.

Please note that the Trade Control Number is specific to the source system reflected in the Market Center ID field. This number is used as a key field for trade cancellations and trade corrections.

Proxy Price price Int Indicates the reported number of shares on the trade transaction.

Trade Size size Int Indicates the reported number of shares on the trade transaction.

NAV Offset Amount navPremium int The NAV offset that should be applied to the Proxy Price.

Please note: This is a signed (+/-) field.

Sale Condition Modifier

saleCondition string Sale condition modifier consists of four levels as defined below.

Level 1 Used for Settlement Type information. Allowable values are: Allowable values are:

Code Value

@ Regular Settlement

C Cash Settlement

N Next Day Settlement

R Seller Settlement

Level 2 Used for SEC Regulation NMS Trade Through Exemption Codes. Allowable values are:

Code Value

F Intermarket Sweep

O Opening Print

4 Derivative Priced

5 Re-Opening Print

http://www.nasdaqtrader.com/Trader.aspx?id=RegNMS

6 Closing Print

7 Qualified Contingent Trade (QCT)


Level 3 Used for Extended Hours or Sold Codes. Allowable values are:

Code Value

T Extended Hours Trade



Z Sold – Out of Sequence


Level 4 Used for special sale condition codes. Please note that this field is case sensitive. Allowable values are:

Code Value

A Acquisition

B Bunched

D Distribution

H Price Variation Transaction

M Nasdaq Official Close Price (NOCP)

P Prior Reference Price


S Split Trade

V Contingent Trade

W Average Price Trade2

X Cross Trade

o Odd lot execution

x Odd Lot Cross execution


Consolidated Volume

cosolidatedVolume long Reflects the volume for the Issue Symbol as reported on the consolidated market data feed at the time that the trade message was generated. See Appendix A for calculation and dissemination information for this data element.

Schema:

{ "type": "record", "name": "SeqTradeReportETMFMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {

"name": "msgType",



}, {

"name": "symbol", "type": "string"

}, {


},

{ "name": "controlNumber", "type": "string"

}, {

"name": "price", "type": "int"

}, {

"name": "size", "type": "int"

}, {

"name": "navPremium", "type": "int"

}, {

"name": "saleCondition", "type": "string"

}, {


} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "M", "marketCenter": "Q", "symbol": "ZVZZT", "securityClass": "Q", "controlNumber": "12345",

"price": 101.12, "size": 500, "navPremium": 2, "saleCondition": "@4LB", "cosolidatedVolume": 25542

}

Trade Cancel/Error for non-NextShares Trades: The following message is used in the event that a Nasdaq trade transaction is cancelled on the same business day that it is reported.

Details:









Message Type msgType string X = Trade Cancel/Error


marketCenter string Denotes the Nasdaq market system that generated the trade report and cancel/error message. The allowable values are:



Code Value

Q Nasdaq

L Nasdaq/FINRA TRF


B BX

X PSX

Original Trade Control Number

origControlNumber string Indicates the source’s internal control number associated with the given trade transaction.

Please note that the Trade Control Number is specific to the source system reflected in the Market Center ID field.

Original Trade Price origPrice int Reported price for the original trade transaction. Refer to Data Types for field processing NLS Plus.

Original Trade Size origSize int Reported number of shares for original trade transaction.

Original Sale Condition Modifier

origSaleCondition string Defines the sale condition modifiers as reported on the original trade transaction.

Consolidated Volume cosolidatedVolume long Reflects the volume for the Issue Symbol as reported on the consolidated market data feed at the time that the trade cancel/error message was generated. See Appendix A for calculation and dissemination information for this data element

Schema:

{ "type": "record", "name": "SeqTradeCancel", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {

Code Value

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS



}, { "name": "trackingID", "type": "long"

}, { "name": "msgType", "type": "string"

}, { "name": "marketCenter", "type": "string"

}, { "name": "symbol", "type": "string"

}, { "name": "securityClass", "type": "string"

}, { "name": "origControlNumber", "type": "string"

}, { "name": "origPrice", "type": "int"

}, { "name": "origSize", "type": "int"

}, { "name": "origSaleCondition", "type": "string"

}, { "name": "cosolidatedVolume", "type": "long"

} ]

}

Sample:

{

"SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217,

"msgType": "X", "marketCenter": "Q", "symbol": "ZVZZT", "securityClass": "Q", "origControlNumber": "12345", "origPrice": 101.12, "origSize": 500, "origSaleCondition": "@4LB", "cosolidatedVolume": 25542

}

Trade Cancel/Error for NextShares Trades: The following message is used in the event that a Nasdaq trade transaction is cancelled on the same business day that it is reported.

Details:









Message Type msgType string O = Trade Cancel/Error

Market Center Identifier


Code Value

Q Nasdaq






Original Proxy Price origPrice int Reported price for the original trade transaction.

Original NAV Offset Amount

origNavPrice int Original NAV offset originally applied to the Proxy Price.





Consolidated Volume cosolidatedVolume long Reflects the volume for the Issue Symbol as reported on the consolidated market data feed at the time that the trade cancel/error message was generated. See Appendix A for calculation and dissemination information for this data element

L Nasdaq/FINRA TRF


Code Value

Q Nasdaq

Schema:

{

"type": "record", "name": "SeqTradeCancelETMFMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {

"name": "msgType",



}, {


}, {


}, {

"name": "origControlNumber", "type": "string"

}, {

"name": "origPrice", "type": "int"

}, {

"name": "origNavPrice", "type": "int"

}, {

"name": "origSize", "type": "int"

},

{ "name": "origSaleCondition", "type": "string"

}, {


} ]

}

Sample:


"msgType": "O", "marketCenter": "Q", "symbol": "ZVZZT", "securityClass": "Q", "origControlNumber": "12345",

"origPrice": 101.12, "origNavPrice": 2, "origSize": 500, "origSaleCondition": "@4LB", "cosolidatedVolume": 25542

}

Trade Correction for non-NextShares Trades:

The following message is used in the event that a Nasdaq trade transaction is corrected on the same

business day that it is reported.

Details:









Message Type msgType string C = Trade Correction



Code Value

Q Nasdaq

L Nasdaq/FINRA TRF


B BX

X PSX



Code Value

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS





Original Trade Price origPrice int Reported price for the original trade transaction. Refer to Data Types for field processing NLS Plus.




Corrected Trade Control Number

correctedControlNumber string Indicates the Nasdaq internal control number associated with the adjusted trade transaction.

Please note that the Trade Control Number is specific to the Nasdaq host system reflected in the Originating Market Center ID field.

Corrected Trade Price

correctedPrice int Indicates the price for the corrected trade transaction. Refer to Data Types for field processing NLS Plus.

Corrected Trade Size correctedSize int Indicates the number of shares for the corrected trade transaction.

Corrected Sale Condition Modifier

correctedSaleCondition string Denotes the sale condition modifiers associated with the corrected trade transaction.

Consolidated Volume

cosolidatedVolume long Reflects the volume for the Issue Symbol as reported on the consolidated market data feed at the time that the trade cancel/error message was generated. See Appendix A for calculation and dissemination information for this data element

Schema:

{ "type": "record", "name": "SeqTradeCorrection", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {


}, {


}, {


}, {


}, {


}, {


}, {

"name": "origSaleCondition", "type": "string"

}, {

"name": "correctedControlNumber", "type": "string"

}, {

"name": "correctedPrice", "type": "int"

}, {

"name": "correctedSize", "type": "int"

},

{ "name": "correctedSaleCondition", "type": "string"

}, {


} ]

}

Sample:


"msgType": "C", "symbol": "ZVZZT", "securityClass": "Q", "origControlNumber": "12345",

"origPrice": 101.12, "origSize": 500, "origSaleCondition": "@4LB", "correctedControlNumber": "67890", "correctedPrice": 100.45, "correctedSize": 475, "correctedSaleCondition": "@FUD", "cosolidatedVolume": 25542

}

Trade Correction for NextShares Trades:

The following message is used in the event that a Nasdaq trade transaction is corrected on the same

business day that it is reported.

Details:









Message Type msgType string Z = Trade Cancel/Error

Market Center Identifier







Original Proxy Price origPrice int Reported price for the original trade transaction.

Original NAV Offset Amount

origNavPrice int Original NAV offset originally applied to the Proxy Price.


Code Value

Q Nasdaq

L Nasdaq/FINRA TRF


Code Value

Q Nasdaq




Corrected Trade Control Number

correctedControlNumber string Indicates the Nasdaq internal control number associated with the adjusted trade transaction.

Please note that the Trade Control Number is specific to the Nasdaq host system reflected in the Market Center ID field.

Corrected Proxy Price

correctedPrice int Indicates the price for the corrected trade transaction in proxy price.

Corrected NAV Offset Amount

correctedNavPremium int Indicates the corrected NAV offset originally applied to the Proxy Price.


Corrected Trade Size correctedSize int Indicates the number of shares for the corrected trade transaction.

Corrected Sale Condition Modifier

correctedSaleCondition string Denotes the sale condition modifiers associated with the corrected trade transaction.

Consolidated Volume

cosolidatedVolume long Reflects the volume for the Issue Symbol as reported on the consolidated market data feed at the time that the trade cancel/error message was generated. See Appendix A for calculation and dissemination information for this data element

Schema:

{ "type": "record",

"name": "SeqTradeCorrectionETMFMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {


}, {


}, {


}, {


}, {


}, {

"name": "origNavPremium", "type": "int"

}, {


}, {

"name": "origSaleCondition", "type": "string"

}, {

"name": "correctedControlNumber", "type": "string"

}, {

"name": "correctedPrice", "type": "int"

}, {

"name": "correctedNavPremium", "type": "int"

},

{ "name": "correctedSize", "type": "int"

}, {

"name": "correctedSaleCondition", "type": "string"

}, {


} ]

}

Sample:


"msgType": "Z", "symbol": "ZVZZT", "securityClass": "Q", "origControlNumber": "12345", "origPrice": 101.12, "origNavPrice": 2, "origSize": 500, "origSaleCondition": "@4LB", "correctedControlNumber": "67890", "correctedPrice": 100.45,

"origNavPrice": 2, "correctedSize": 475, "correctedSaleCondition": "@FUD", "cosolidatedVolume": 25542

}

Administrative Messages

Stock Trading Action: Nasdaq uses this administrative message to indicate the current trading status of a security to the trading community. Please note that this message originates from the Nasdaq market center system.

Prior to the start of system hours, Nasdaq will send out a Trading Action spin. In the spin, Nasdaq will send out a Stock Trading Action message with the “T” (Trading Resumption) for all Nasdaq- and other exchange- listed securities that are eligible for trading at the start of the system hours. If a security is absent from the pre-opening Trading Action spin, firms should assume that the security is being treated as halted in the Nasdaq platform at the start of the system hours. Please note that securities may be halted in the Nasdaq system for regulatory or operational reasons.

After the start of system hours, Nasdaq will use the Trading Action message to relay changes in trading status for an individual security. Messages will be sent when a stock is:

• Halted

• Paused*

• Released for quotation

• Released for trading

* The paused status will be disseminated for Nasdaq-listed securities only. Trading pauses on non-Nasdaq listed securities will be treated simply as a halt.

Details:









Message Type msgType string H = Trading Action

Reserved filler string This field is reserved for future use. In the initial release, this field will be space filled.

Issue Symbol symbol string Nasdaq-assigned indicator for issue for which the trading action message is being generated. For details on Nasdaq symbology, please refer to Appendix B.

Security Class market string Indicates the primary listing market for the issue. Allowable values are:

Code Value

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS


Current Trading State tradingState string Reflects the current trading state for the issue. The allowable values are:

Code Value

H Halt in effect (Cross all U.S. equity exchanges)

P Paused across all U.S. equity markets / SROs (Nasdaq-listed securities only)

Q Quote only period in effect (Cross all U.S. equity changes)

T Trading on Nasdaq market

Reason reason string Reflects the Market Ops or Market Watch code for the trading state change. Refer to Appendix C for current code list.

Schema:

{ "type": "record", "name": "SeqTradingStateMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {

"name": "msgType",


"name": "filler", "type": "string"

}, {


}, {

"name": "market", "type": "string"

}, {

"name": "tradingState", "type": "string"

}, {

"name": "reason", "type": "string"

} ]

}

Sample:

{ "SoupPartition": 0,

"SoupSequence": 123, "trackingID": 7238625218217, "msgType": "R", "filler": "",

"symbol": "ZVZZT", "market": "Q", "tradingState": "T", "reason": "M1"

}

Stock Directory: At the start of each trading day, Nasdaq disseminates stock directory messages for all active Nasdaq and non-Nasdaq-listed security symbols.

Market data redistributors should process this message to populate the Financial Status Indicator (required display field) and the Market Category (recommended display field) for Nasdaq-listed issues.

Details:









Message Type msgType string R = Stock Directory Message

Reserved filler string This field is reserved for future use. In the initial release, this field will be space filled.

Stock symbol string Nasdaq-assigned indicator for issue for which the trading action message is being generated. For details on Nasdaq symbology, please refer to Appendix B.

Market Category marketClass string Indicates Listing market or listing market tier for the issue

Financial Status Indicator

fsi string For Nasdaq-listed issues, this field indicates when a firm is not in compliance with Nasdaq continued listing requirements.

Code Definition

Nasdaq-Listed Instruments

Q Nasdaq Global Select MarketSM

G Nasdaq Global MarketSM

S Nasdaq Capital Market®

Non-Nasdaq-Listed Instruments

N New York Stock Exchange (NYSE)

A NYSE MKT

P NYSE Arca

Z BATS Z Exchange


<space> Not available

Code Definition


D Deficient

E Delinquent

Q Bankrupt

S Suspended

G Deficient and Bankrupt

H Deficient and Delinquent

J Delinquent and Bankrupt

Round Lot Size roundLotSize int Denotes the number of shares that represent a round lot for the issue

Round Lots Only roundLotOnly string Indicates if Nasdaq system limits order entry for issue

Issue Classification issueClass string Identifies the security class for the issue as assigned by Nasdaq. See Appendix for allowable values.

Issue Sub-Type issueSubtype string Identifies the security sub-type for the issue as assigned by Nasdaq. See Appendix for allowable values.

Authenticity authenticity string Denotes if an issue or quoting participant record is set- up in Nasdaq systems in a live/production, test, or demo state. Please note that firms should only show live issues and quoting participants on public quotation displays.

Short Sale Threshold Indicator

shortThreshold string Indicates if a security is subject to mandatory close-out of short sales under SEC Rule 203(b)(3).

K Deficient, Delinquent and Bankrupt

C Creations and/or Redemptions Suspended for Exchange Traded Product

N Normal (Default): Issuer Is NOT Deficient, Delinquent, or Bankrupt


<space> Not available. Firms should refer to SIAC feeds for code if needed.

Code Definition

Y Nasdaq system only accepts round lots orders for this security.

N Nasdaq system does not have any order size restrictions for this security. Odd and mixed lot orders are allowed.

Code Definition

P Live/Production

T Test

Code Definition

Y Issue is restricted under SEC Rule 203(b)(3)

N Issue is not restricted

<space> Threshold Indicator not available

IPO Flag ipo string Indicates if the Nasdaq security is set up for IPO release. This field is intended to help Nasdaq market participant firms comply with FINRA Rule 5131(b).

LULD Reference Price Tier

luldTier string Indicates which Limit Up / Limit Down price band calculation parameter is to be used for the instrument. Refer to LULD Rule for details.

Code Definition

1 Tier 1 NMS Stocks and select ETPs

2 Tier 2 NMS Stocks


ETP Flag etf string Indicates whether the security is an exchange traded product (ETP):

Code Definition

Y Instrument is an ETP

N Instrument is not an ETP


ETP Leverage Factor etfFactor int Tracks the integral relationship of the ETP to the underlying index. Example: If the underlying Index increases by a value of 1 and the ETP’s Leverage factor is 3, indicates the ETF will increase/decrease (see Inverse) by 3.

Note: Leverage Factor of 1 indicates the ETP is NOT leveraged.

Code Definition


Y Nasdaq listed instrument is set up as a new IPO security

N Nasdaq listed instrument is not set up as a new IPO security



http://www.sec.gov/rules/sro/nms/2012/34-67091.pdf

This field is used for LULD Tier I price band calculation purposes.

Inverse Indicator inverseETF string Indicates the directional relationship between the ETP and underlying index.

Example: An ETP Leverage Factor of 3 and an Inverse value of ‘Y’ indicates the ETP will decrease by a value of 3.

Bloomberg ID compositeId string The composite ID that Bloomberg has assigned to the security.

Schema:

{

"type": "record", "name": "SeqDirectoryMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {

"name": "msgType",


"name": "symbol",


"name": "marketClass", "type": "string"

},

Code Definition

Y ETP is an Inverse ETP

N ETP is not an Inverse ETP

{

"name": "fsi", "type": "string"

}, {

"name": "roundLotSize", "type": [

"null", "int"

] }, {

"name": "roundLotOnly", "type": [

"null", "string"

] }, {

"name": "issueClass", "type": [

"null", "string"

] }, {

"name": "issueSubtype", "type": [

"null", "string"

] }, {

"name": "authenticity", "type": [

"null", "string"

] }, {

"name": "shortThreshold", "type": [

"null", "string"

] }, {

"name": "ipo", "type": [

"null", "string"

] },

{ "name": "luldTier", "type": [

"null", "string"

] }, {

"name": "etf", "type": [

"null", "string"

] }, {

"name": "etfFactor", "type": [

"null", "int"

]

}, {

"name": "inverseETF", "type": [

"null", "string"

] }, {

"name": "compositeId", "type": [

"null", "string"

] }

] }

Sample:

{ "SoupPartition": 0,

"SoupSequence": 123, "trackingID": 7238625218217, "msgType": "R", "symbol": "ZVZZT",

"marketClass": "Q", "fsi": "N", "roundLotSize": 250, "roundLotOnly": "N", "issueClass": "L", "issueSubtype": "MF",

"authenticity": "T", "shortThreshold": "N", "ipo": "N", "luldTier": "1", "etf": "Y", "etfFactor": 2, "inverseETF": "N",

"compositeId": "BBG123BLYYV2" }

Regulation SHO Short Sale Price Test Restricted Indicator: In February 2011, the Securities and Exchange Commission (SEC) implemented changes to Rule 201 of the Regulation SHO (Reg SHO). For details, please refer to SEC Release Number 34-61595.

In association with the Reg SHO rule change, Nasdaq introduced a Reg SHO Short Sale Price Test Restricted Indicator.

The Reg SHO Short Sale Price Test Restricted Indicator message is disseminated intra-day when a security has a price drop of 10% or more from the adjusted prior day’s Nasdaq Official Closing Price (NOCP). Once a message with the “S” indicator is disseminated, all short sale orders entered for the given security will be subject to processing under Rule 201 (Alternative Bid Tick Rule) of Reg SHO for the remainder of the trading day or until a “C” action message is disseminated whichever is sooner.

In addition, Nasdaq supports a pre-opening spin of Reg SHO Short Sale Price Test Restricted Indicator messages for those securities in which Rule 201 will remain in effect for the current trading day.

Details:









Message Type msgType string Y = Short Sale Restriction Indicator

Issue Symbol symbol string Nasdaq-assigned indicator for issue for which the short sale restriction indicator message is being generated. For details on Nasdaq symbology, please refer to Appendix B.

http://www.sec.gov/rules/final/2010/34-61595.pdf

Reg SHO Action regSHOAction string Denotes the Reg SHO Short Sale Price Test Restriction status for the issue at the time of the message dissemination. Allowable values are:

Code Definition

0 No price test in place

1 Reg SHO Short Sale Price Test Restriction in effect due to an intra-day price drop in security

2 Reg SHO Short Sale Price Test Restriction remains in effect

Schema:

{ "type": "record", "name": "SeqShortSaleRestrictionIndicator", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {


}, {

"name": "regSHOAction", "type": "string"

} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 123,

"trackingID": 7238625218217, "msgType": "Y", "symbol": "ZVZZT", "regSHOAction": "1"

}

Adjusted Closing Price: At the start of each trading day, Nasdaq disseminates the adjusted closing price for all active symbols in the Nasdaq system.

For Nasdaq-listed securities the Nasdaq Official Closing Price will be used to calculate the adjusted close. For non-Nasdaq securities, the consolidated close will be used to calculate adjusted close.

Note: Nasdaq will not support the adjusted closing price message format for NextShares.

Details:









Message Type msgType string G = Adjusted Closing Price

Issue Symbol symbol string Nasdaq-assigned indicator for issue for which the short sale restriction indicator message is being generated. For details on Nasdaq symbology, please refer to Appendix B.


Code Value

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS


Adjusted Closing Price

adjClosingPrice int The previous trading day’s official closing price adjusted for any applicable corporate actions. If there were no corporate actions for a security, the previous day’s official close will be disseminated.

Schema:

{ "type": "record", "name": "SeqAdjClosingPrice", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {


}, {


}, {

"name": "adjClosingPrice", "type": "int"

}

] }

Sample:

{ "SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "G", "symbol": "ZVZZT", "securityClass": "Q", "adjClosingPrice": 102.09

}

End of Day Trade Summary: At the close of each trading day, Nasdaq will disseminate the following end of day trade summary messages for all active Nasdaq- and non-Nasdaq-listed securities. Nasdaq disseminates this message to ensure that NLS Plus subscribers have the correct daily volume information for all issues.

Details:









Message Type msgType string J = End of Day Trade Summary

Issue Symbol symbol string Nasdaq-assigned indicator for issue for which the directory message is being generated. For details on Nasdaq symbology, please refer to Appendix B.

Market Category securityClass string Denotes the listing market for the issue. The allowable values are:

Code Value

Nasdaq High Price highPrice int Reflects the highest price reported for a last sale transaction on any Nasdaq venue for the issue symbol during the current trading day.

Nasdaq Low Price lowPrice int Reflects the lowest price reported for a last sale transaction on any Nasdaq venue for the issue symbol during the current trading day.

Nasdaq Closing Price NOCP int For Nasdaq-listed securities, this field will reflect the Nasdaq Official Closing Price (NOCP) value if available.

For non-Nasdaq-listed securities, this field will reflect the final last sale eligible transaction reported by any Nasdaq venue for the issue during normal market hours.

Consolidated Volume cosolidatedVolume long Reflects the total volume for the issue reported at the consolidated market level.

Schema:

{ "type": "record", "name": "SeqEndOfDayTradeSummary", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {

"name": "msgType",

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS


"type": "string"

}, {


}, {


}, {

"name": "highPrice", "type": "int"

}, {

"name": "lowPrice", "type": "int"

}, {

"name": "NOCP",

"type": "int" }, {


} ]

}

Sample:


"msgType": "J", "symbol": "ZVZZT", "highPrice": 103.11, "lowPrice": 102.89,

"NOCP": 103.04, "cosolidatedVolume": 4527985

}

End of Day Trade Summary – NextShares: At the close of each trading day, Nasdaq will disseminate the following end of day trade summary messages for all active Nasdaq listed NextShares securities. Nasdaq disseminates this message to ensure that NLS Plus subscribers have the correct daily volume information for all issues.

Details:









Message Type msgType string N = End of Day Trade Summary

Issue Symbol symbol string Nasdaq-assigned indicator for issue for which the directory message is being generated. For details on Nasdaq symbology, please refer to Appendix B.

Market Category securityClass string Denotes the listing market for the issue. The allowable values are:

Nasdaq High Price highPrice int Reflects the highest price reported for a last sale transaction on any Nasdaq venue for the issue symbol during the current trading day. In Proxy Price format.

NAV Offset Amount - High

highPriceNAV int The NAV offset that should be applied to the Proxy Price.


Nasdaq Low Price lowPrice int Reflects the lowest price reported for a last sale transaction on any Nasdaq venue for the issue symbol during the current trading day. In Proxy Price format.

NAV Offset Amount - Low

lowPriceNAV int The NAV offset that should be applied to the Proxy Price.


Code Value

Q Nasdaq

Nasdaq Closing Price NOCP int For Nasdaq-listed securities, this field will reflect the Nasdaq Official Closing Price (NOCP) value if available. In Proxy Price format.

NAV Offset Amount - Close

NOCPNAV int The NAV offset that should be applied to the Proxy Price.


Consolidated Volume cosolidatedVolume long Reflects the total volume for the issue reported at the consolidated market level.

Schema:

{ "type": "record",

"name": "SeqEndOfDayTradeSummaryETMF", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {


}, {


}, {

"name": "highPrice",

"type": "int" }, {

"name": "highPriceNAV", "type": "int"

}, {

"name": "lowPrice", "type": "int"

}, {

"name": "lowPriceNAV", "type": "int"

}, {

"name": "NOCP", "type": "int"

}, {

"name": "NOCPNAV", "type": "int"

}, {


} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "N", "symbol": "ZVZZT", "highPrice": 103.11, "highPriceNAV": 1 "lowPrice": 102.89,

"lowPriceNAV": 1, "NOCP": 103.04, "NOCPNAV": 102.02, "cosolidatedVolume": 4527985

}

IPO Information: Nasdaq will disseminate the following IPO messages from the UTP and CTA Level 1 feeds for Initial Public Offerings for all Nasdaq- and non-Nasdaq-listed securities. Please note that NLS Plus filters the General Administrative Messages from the UTP and CTA feeds for IPO specific text as the General Administrative Messages are free-form text and not used solely for IPO messages only.

Details:









Message Type msgType string I = IPO Message

Issue Symbol symbol string Nasdaq-assigned indicator for issue for which the trading action message is being generated. For details on Nasdaq symbology, please refer to Appendix B.

Security Class marketCenter string Indicates the primary listing market for the issue. Allowable values are:

Reference For Net Change

refForNetChange string Reflects the current trading state for the issue. The allowable values are:

Code Value

Q Nasdaq

N NYSE

A NYSE MKT

P NYSE Arca

Z BATS


Code Value

F First Trade Price

W Underwriter Price

Reference Price refPrice int Reference Price

Schema:

{ "type": "record", "name": "SeqIPOMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


}, {


}, {


}, {

"name": "refForNetChange", "type": "string"

}, {

"name": "refPrice", "type": "int"

}

] }

Sample

{

"SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "I", "symbol": "ZVZZT", "marketCenter": "Q", "refForNetChange": "F", "refPrice": 101.34

}

Market-Wide Circuit Breaker (MWCB) Message – Decline Level: Informs data recipients what the daily MWCB breach points are set to for the current trading day.

Details:









Message Type msgType string V = Market wide circuit breaker Decline Level Message

Level 1 level1 long Denotes the MWCB Level 1 Value.



Schema:

{

"type": "record", "name": "SeqMWCB", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21",

"fields": [ {

"name": "SoupPartition", "type": "int"

}, {


}, {


}, {


}, {

"name": "level1", "type": "long"

}, {

"name": "level2",

"type": "long" }, {

"name": "level3", "type": "long"

} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 123,

"trackingID": 7238625218217, "msgType": "V", "level1": 252345, "level2": 689678567,

"level3": 12343 }

Market-Wide Circuit Breaker (MWCB) Message – Status: Informs data recipients when a MWCB has breached one of the established levels

Details:









Message Type msgType string W = Market-Wide Circuit Breaker Status message

Breached Level level string Denotes the MWCB Level that was breached.

“1” = Level 1 “2” = Level 2 “3” = Level 3

Schema:

{ "type": "record", "name": "SeqMWCBStatus", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {


},

{

"name": "level", "type": "string"

} ]

}

Sample:


"msgType": "W", "level1": "1"

}

IPO Quoting Period Update: Indicates the anticipated IPO quotation release time of a security.

Details:









Message Type msgType string K = IPO Quoting Period Update Message

Stock symbol string Denotes the security symbol for the issue in the Nasdaq execution system.

IPO Quotation Release Time

releaseTime int Denotes the IPO release time, in seconds since midnight, for quotation to the nearest second.

NOTE: If the quotation period is being canceled/postponed, we should state that

1. IPO Quotation Time will be set to 0 2. IPO Price will be set to 0

IPO Quotation Release Qualifier

releaseQualifier string

IPO Price ipoPrice int Denotes the IPO price to be used for intraday net change calculations.

Prices are given in decimal format with 6 whole number places followed by 4 decimal digits. The whole number portion is padded on the left with spaces; the decimal portion is padded on the right with zeros. The decimal point is implied by position; it does not appear inside the price field.

Schema:

{

"type": "record", "name": "SeqIpoQuoting", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


}, {

"name": "msgType",


"name": "symbol",

Code Description

A Anticipated quotation release time This value would be used when Nasdaq Market Operations initially enters the IPO instrument for release.

C IPO release canceled/postponed This value would be used when Nasdaq Market Operations cancels or postpones the release of the IPO instrument.

"type": "string"

}, {

"name": "releaseTime", "type": "int"

}, {

"name": "releaseQualifier", "type": "string"

}, {

"name": "ipoPrice", "type": "int"

} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "K", "symbol": "ZVZZT", "releaseTime": 34509843560, "releaseQualifier": "A", "ipoPrice": 15.00

}

Operational Halt:

The Exchange uses this message to indicate the current Operational Status of a security to the trading community. An Operational Halt means that there has been an interruption of service on the identified security impacting only the designated Market Center. These Halts differ from the “Stock Trading Action” message types since an Operational Halt is specific to the exchange for which it is declared, and does not interrupt the ability of the trading community to trade the identified instrument on any other market place.

Nasdaq uses this administrative message to indicate the current trading status of the three market centers operated by Nasdaq.

Details:









Message Type msgType

H = Operational Halt

Stock symbol

Denotes the security symbol for the issue in the Nasdaq execution system

Market Code market

Operational Halt Action

action

Schema:

{ "type": "record", "name": "SeqMarketCenterActionMessage", "namespace": "com.nasdaq.equities.trades.applications.nls.messaging.binary21", "fields": [


}, {


}, {


},

Code Value

Q Nasdaq

B BX

X PSX

Code Value

H Operationally Halted on the identified Market

T Operational Halt has been lifted and Trading resumed

{


}, {


}, {

"name": "market", "type": "string"

}, {

"name": "action", "type": "string"

} ]

}

Sample:

{ "SoupPartition": 0, "SoupSequence": 123, "trackingID": 7238625218217, "msgType": "H", "symbol": "ZVZZT", "market": "Q", "action": "H"

}

Appendix A – Last Sale Processing

Issue Price-Level Statistics For messaging efficiencies, NLS Plus provides raw trade data for the Nasdaq trading venues. If needed, firms may create their own algorithms for issue- and market center-level price statistics. To help in the process, Nasdaq offers the following guidelines.

a) Last Sale Calculation Within the market data industry, the term “last sale” has been widely used in conjunction with the SEC Vendor Display Rule. “Last Sale” is typically used to denote the most recent round or mixed lot trade transaction reported by a market center with an eligible sale condition code for the regular U.S. market session. For Nasdaq cross-market displays, firms should use the time stamp field from the Trade Report message to determine the proper trade sequence order for last sale calculations as well as time and sales displays.

To facilitate a “Last Sale” calculation, NLS Plus includes the sale condition modifier. The Sale Condition Modifier field consists of four levels. A trade should only be applied to the high, low, last sale, and volume calculations if all four sales condition modifiers so allow.

Sale Condition – Level 1 denotes the settlement type of the transaction. If a transaction has a special settlement code, firms should not include transaction in high, low, or last sale price calculations. If the transaction has a regular settlement type, firms should process the next levels to determine proper processing.

Code Value High/Low Last Sale

@ Regular Settlement Yes, if other levels do not overrule

Yes, if other levels do not overrule

C Cash Settlement No No

N Next Day Settlement No No

R Seller Settlement No No

Sale Condition – Level 2 indicates if a transaction was trade through exempt.


F Intermarket Sweep Yes Yes

O Opening Print Yes Yes

4 Derivative Priced Yes No (except if first regular market trade of day)

5 Re-Opening Print Yes Yes

6 Closing Print Yes Yes

7 Qualified Contingent Trade (QCT) No No

<space> Not applicable See other levels See other levels

Sale Condition – Level 3 indicates if the transaction was reported during regular market hours with a “sold” code or during the extended trading hours session. For the TRF system, the “sold” codes are used to indicate that a trade occurred during normal market hours but was reported more than 90 seconds after execution. Historically, only trades that occur during normal market hours and in proper sequence are included in the “last sale” calculation.


T Extended Hours Trade No No


No No


Yes Yes

Z Sold – Out of Sequence Yes No (except if first regular market trade of day)


Sale Condition – Level 4 indicates special trading situations.

For the Nasdaq execution system, this sale condition level is used to denote when a trade record contains the Nasdaq Official Opening Price (NOOP) or Nasdaq Official Closing Price (NOCP) values. Since Nasdaq also reports the underlying cross execution transaction to the tape, the NOOP and NOCP report volume should not be included in the daily volume calculation.

For the Cross Trade (X) modifiers, firms should defer to the Level 2 and Level 3 sale condition codes to determine whether to include the trade in the high, low, and last sale calculation statistics.

As outlined in the table below, Nasdaq also observes special processing rules for the Prior Reference Price (P), Average Price (W), and Odd Lot Execution (o) codes.


A Acquisition Yes Yes

B Bunched Yes Yes

D Distribution Yes Yes

H Price Variation Trade No No

M Nasdaq Official Close Price (NOCP) Yes for Nasdaq market center only or Nasdaq system-wide displays

No for BX, PSX or Nasdaq/ FINRA TRF only displays

Yes for Nasdaq market center only or Nasdaq system-wide displays


o Odd lot execution3 No No

P Prior Reference Price Yes No (except if first regular market trade of day)


Yes for Nasdaq market center only or Nasdaq system-wide displays


No

S Split Trade Yes Yes

V Contingent Trade No No

3 Please note that the consolidated trade feeds offered by the Nasdaq Security Information Processor (SIP) and the Securities Information Automation Corporation (SIAC) do not include odd lot execution data at this time. While Nasdaq OMX believes that odd lot executions should be included in volume statistics, a firm may choose to omit odd lot executions from the calculation if it needs volume numbers to match across multiple system platforms.


W Average Price Trade4 No No

X Cross Trade Yes (if sent with an eligible Level 2 modifier)

Yes (if sent with an eligible Level 2 modifier)

x Odd Lot Cross Trade No No


b) Last Trade Calculation The term “Last Trade” is more widely applied within the market data industry. Many firms use the term “last trade” to refer to the most recent trade transaction reported in sequence. In addition to the “last sale” codes, many firms include odd lots and extended trading hour executions in the “last trade” price calculations.

c) Net Change Calculation

NLS Plus does not include a net change indicator field. Data feed recipient must perform their own calculation for last sale eligible and last trade eligible transactions. The formula should be as follows:

Net Change for Issue Symbol = Current Trade Price - Adjusted Previous Close Price

To obtain the Adjusted Previous Close, firms will need to apply dividends to the previous day’s closing price value. For Nasdaq-listed securities, firms may obtain dividend information via the Dividend Daily List web-based product. For ordering information, please refer to the Daily List product page on the Nasdaq Trader website.

For NYSE-, NYSE MKT-, NYSE Arca and BATS-listed securities, firms should contact the listing exchange directly to inquire about corporate action data delivery options.

Dividend adjustments are typically applied to the closing price on the day prior to ex-date and reflected on the ex-date, the next business day. Cash dividends of $0.01 or greater should be subtracted from the closing price. For stock dividends, the closing price should be divided by the dividend amount.

d) Consolidated Volume As a reference point, Nasdaq includes the volume for the Issue Symbol as reported on the consolidated market data feed on the individual NLS Plus trade messages. The volume reflects the consolidated volume at the time that the NLS Plus trade message is generated.

For Nasdaq-listed issues, the consolidated volume is based on the real-time trades reported via NLS Plus and UTP Trade Data Feed (UTDF) for the issue symbol. Nasdaq calculates the real-time issue volume for

4 For NLS Plus processing, Nasdaq will use the sale condition modifier of “W” for all Average Price Trades regardless of the listing market center. While the UTP SIP uses the same sale condition modifier code for Nasdaq-listed issues, it should be noted that SIAC / CTA SIP uses a “B” sale condition modifier for Average Price Trades for NYSE-, NYSE MKT- and NYSE Arca-listed securities.

http://www.nasdaqtrader.com/Trader.aspx?id=DailyListPD

its trading venues based on the NLS Plus trade messages. It then adds the real-time trading volume for the other (non-Nasdaq ) trading venues as reported via the UTDF data feed.

For non-Nasdaq-listed issues, the consolidated volume is based on trades reported via NLS Plus and SIAC’s Consolidated Tape System (CTS) for the issue symbol. Nasdaq calculates the real-time issue volume for its trading venues based on the NLS Plus trade messages. It then adds the real-time trading volume for the other (non-Nasdaq) trading venues as reported via the CTS data feed.

Appendix B – Sale Condition Modifier Definitions

The following definitions are included for informational purposes only.

Sale Condition Modifier Description

Acquisition (A) A transaction made on the Exchange as a result of an acquisition.

Average Price Trade (W) A trade where the price reported is based upon an average of the prices for transactions in a security during all or any portion of the trading day.

Please note that the Nasdaq market center also uses this value to report stopped stock situations.

For NLS Plus processing, Nasdaq will use the sale condition modifier of “W” for all Average Price Trades regardless of the listing market center. While the UTP SIP uses the same sale condition modifier code for Nasdaq-listed issues, it should be noted that SIAC / CTA SIP uses a “B” sale condition modifier for Average Price Trades for NYSE-, NYSE MKT-, NYSE Arca and BATS-listed securities.

Bunched Trade (B) A trade representing an aggregate of two or more regular trades in a security occurring at the same price either simultaneously or within the same 60-second period, with no individual trade exceeding 10,000 shares.

Bunched Sold Trades (G) A bunched trade that is reported late.

Cash Sale (C) A transaction that calls for the delivery of securities and payment on the same day the trade took place.

Cross Trade (X) A Cross Trade a trade transaction resulting from a market center's crossing session.

Dot-T or Form-T (T) A trade executed before or after the regular US market hours. Please note that the Dot-T modifier should be appended to all transactions that occur during the pre- and post-market sessions. The volume of Form-T trades will be included in the calculation of consolidated and market center volume. The price information in Dot-T trades will not be used to update high, low and last sale data for individual securities or indices since they occur outside of normal trade reporting hours.

Distribution (D) Sale of a large block of stock in such a manner that the price is not adversely affected.

Extended Trading Hours - Sold Out of Sequence (U)

Trade reports used to identify extended trading hours trades that are reported more than 30 seconds after execution. Currently, the extended trading hours are comprised of pre- market trading from 7 a.m. to 9:30 a.m., Eastern Time (ET), and post-market trading from 4 p.m. to 8:00 p.m., ET.

This sale condition would be similar to the existing “T” sale condition in that trades executed outside of market hours will not impact market center or consolidated high, low, or last sale prices for an issue. The transactions would, however, count toward issue and market volume.

Intermarket Sweep (F) Intermarket sweep order means a limit order for an NMS stock that meets the following requirements:

• When routed to a trading center, the limit order is identified as an intermarket sweep order; and

• Simultaneously with the routing of the limit order identified as an intermarket sweep order, one or more additional limit orders, as necessary, are routed to execute against the full displayed size of any protected bid, in the case of a limit order to sell, or the full displayed size of any protected offer, in the case of a limit order to buy, for the NMS stock with a price that is superior to the limit price of the limit order identified as an intermarket sweep order. These additional routed orders also must be marked as intermarket sweep orders.


Market Center Close Price (M) Indicates the “Official” closing value as determined by a Market Center. This transaction report will contain the market center generated closing price. The “M” (Market Center Close Price) sale condition modifier shall only affect the Market Center Closing/Last Sale value and will not affect the consolidated market value.

Market Center Open Price (Q) Indicates the “Official” opening value as determined by a Market Center. This transaction report will contain the market center generated opening price. The “Q” (Market Center Open Price) sale condition modifier shall only affect the Market Center Opening value and will not affect the consolidated market value. Direct data recipients that maintain individual market center open values should use this value as the official market center opening value and populate data displays accordingly

Next Day (N) A transaction that calls for the delivery of securities between one and four days (to be agreed by both parties to the trade – the number of days are not noted with the transaction) after the trade date.

Odd Lot Transaction (o) The Odd Lot sale condition modifier indicates that the execution size for a transaction was less than one round lot for the security.

Please note that the consolidated trade feeds offered by the UTP Security Information Processor (UTP SIP) and the Securities Information Automation Corporation (SIAC) do not include odd lot execution data at this time.

Opening Prints (O) The transaction or group of transactions reported as a result of a single-priced opening event by the Market Center.

Price Variation Trade (H) The Price Variation Trade sale condition code is used to denote a regular market session trade transaction that carries a price that is significantly away from the prevailing consolidated or primary market value at the time of the transaction.

Prior Reference Price (P) An executed trade that relates to an obligation to trade at an earlier point in the trading day or that refers to a prior referenced price. This may be the result of an order that was lost or misplaced or was not executed on a timely basis.

Seller (R) A Seller’s option transaction is a special transaction that gives the seller the right to deliver the stock at any time within a specific period, ranging from not less than four calendar days to not more than sixty calendar days.

Sold Out of Sequence (Z) Sold Out of Sequence is used when a trade is printed (reported) out of sequence and at a time different from the actual transaction time.

Sold Last (L) Sold Last sale condition modifier is used when a trade prints in sequence but is reported late. A Sold Last transaction should only impact the consolidated last sale price for an issue if the market center reporting the sold last transaction also reported the transaction setting the current last sale price.

Split Trade (S) An execution in two markets when the specialist or Market Maker in the market first receiving the order agrees to execute a portion of it at whatever price is realized in another market to which the balance of the order is forwarded for execution.

Derivatively Priced (4) A transaction that constituted the trade-through was the execution of an order at a price that was not based, directly or indirectly, on the quoted price of the NMS stock at the time of execution and for which the material terms were not reasonably determinable at the time the commitment to execute the order was made.

Re-Opening Prints (5) The transaction or group of transactions reported as a result of a single-priced re-opening event by the Market Center.


Closing Prints (6) The transaction or group of transactions reported as a result of a single-priced closing event by the Market Center.

Appendix C - Stock Symbol Convention

For Nasdaq-listed issues, Nasdaq currently restricts its symbol length to a maximum of 8 characters. For

common stock issuances, Nasdaq, PSX and BX will only assign root symbols of 1 to 4 characters in length with

possible fifth and or sixth character denoting a suffix. In certain instances, a dot “.” delimiter may be applied to

symbols after the root and between the suffix eg., XXXX.A. For subordinate securities, Nasdaq and BX will

assign a 5 character symbol for which the last character relays information about the issue class or issue type.

For the current list of fifth and or six character symbol suffixes, please refer to Ticker Symbol Convention page

on the Nasdaq Trader website.

For NYSE-, NYSE MKT- and NYSE Arca-listed securities with subordinate issue types, please refer to Ticker

Symbol Convention page on the Nasdaq Trader website

http://www.nasdaqtrader.com/Trader.aspx?id=CQSSymbolConvention



Appendix D – Trading Action Reason Codes

For Nasdaq-listed issues, Nasdaq acts as the primary market and has the authority to institute a trading halt or trading pause in an issue due to news dissemination or regulatory reasons. Nasdaq may also halt trading for operational reasons. Nasdaq will send out a trading action message to inform its market participants when the trading status of an issue changes. For informational purposes, Nasdaq also attempts to provide the reason for each trading action update. For bandwidth efficiency reasons, Nasdaq uses a 4-byte code for the reason on its outbound data feeds.

REASON CODES FOR TRADING HALT ACTIONS

Code Value

T1 Halt News Pending

T2 Halt News Disseminated

T5 Single Stock Trading Pause In Effect

T6 Regulatory Halt — Extraordinary Market Activity

T8 Halt ETF

T12 Trading Halted; For Information Requested by Listing Market

H4 Halt Non-Compliance

H9 Halt Filings Not Current

H10 Halt SEC Trading Suspension

H11 Halt Regulatory Concern

O1 Operations Halt; Contact Market Operations

LUDP Volatility Trading Pause

LUDS Volatility Trading Pause – Straddle Condition

MWC1 Market Wide Circuit Breaker Halt – Level 1



MWC0 Market Wide Circuit Breaker Halt – Carry over from previous day

IPO1 IPO Issue Not Yet Trading

M1 Corporate Action

M2 Quotation Not Available

<space> Reason Not Available

REASON CODES FOR QUOTATION/TRADING RESUMPTION ACTIONS

Code Value

T3 News and Resumption Times

T7 Single Stock Trading Pause / Quotation Only Period

R4 Qualifications Issues Reviewed/Resolved; Quotations/Trading to Resume

R9 Filing Requirements Satisfied/Resolved; Quotations/Trading To Resume

C3 Issuer News Not Forthcoming; Quotations/Trading To Resume

C4 Qualifications Halt ended; Maintenance Requirements Met; Resume

C9 Qualifications Halt Concluded; Filings Met; Quotes/Trades To Resume

C11 Trade Halt Concluded By Other Regulatory Auth.; Quotes/Trades Resume

MWCQ Market Wide Circuit Breaker Resumption

R1 New Issue Available

R2 Issue Available

IPOQ IPO Security Released for Quotation (Nasdaq Securities Only)

IPOE IPO Security — Positioning Window Extension (Nasdaq Securities Only)

<space> Reason Not Available

For non-Nasdaq-listed issues, Nasdaq abides by any regulatory trading halts and trading pauses instituted by the primary or listing market as appropriate. While Nasdaq does support Trading Action messages for these securities, it is unable to support the full range of Reason Code values.

For the current list of regulatory halts for both Nasdaq- and non-Nasdaq-listed securities, please refer to the Trading Halts page on the Nasdaq Trader website.

http://www.nasdaqtrader.com/trader.aspx?id=TradeHalts

Appendix E - Issue Classification Values Identifies the security class for the issue as assigned by Nasdaq

CODES FOR ISSUE CLASSIFICATION VALUES

Code Value

A American Depositary Share

B Bond

C Common Stock

F Depository Receipt

I 144A

L Limited Partnership

N Notes

O Ordinary Share

P Preferred Stock

Q Other Securities

R Right

S Shares of Beneficial Interest

T Convertible Debenture

U Unit

V Units/Benif Int

W Warrant

Appendix F - Issue Sub-Type Values

CODES FOR ISSUE CLASSIFICATION VALUES

Code Value

A Preferred Trust Securities

AI Alpha Index ETNs

B Index Based Derivative

C Common Shares

CB Commodity Based Trust Shares

CF Commodity Futures Trust Shares

CL Commodity-Linked Securities

CM Commodity Index Trust Shares

CO Collateralized Mortgage Obligation

CT Currency Trust Shares

CU Commodity-Currency-Linked Securities

CW Currency Warrants

D Global Depositary Shares

E ETF-Portfolio Depositary Receipt

EG Equity Gold Shares

EI ETN-Equity Index-Linked Securities

EM Exchange Traded Managed Funds

EN Exchange Traded Notes

EU Equity Units

F HOLDRS

FI ETN-Fixed Income-Linked Securities

FL ETN-Futures-Linked Securities

G Global Shares

I ETF-Index Fund Shares

IR Interest Rate

IW Index Warrant

IX Index-Linked Exchangeable Notes

J Corporate Backed Trust Security

L Contingent Litigation Right

LL Identifies securities of companies that are set up as a Limited Liability Company (LLC)

M Equity-Based Derivative

MF Managed Fund Shares

ML ETN-Multi-Factor Index-Linked Securities

MT Managed Trust Securities

N NY Registry Shares

O Open Ended Mutual Fund

P Privately Held Security

PP Poison Pill

PU Partnership Units

Q Closed-End Funds

R Reg-S

RC Commodity-Redeemable Commodity-Linked Securities

RF ETN-Redeemable Futures-Linked Securities

RT REIT

RU Commodity-Redeemable Currency-Linked Securities

S SEED

SC Spot Rate Closing

SI Spot Rate Intraday

T Tracking Stock

TC Trust Certificates

TU Trust Units

U Portal

V Contingent Value Right

W Trust Issued Receipts

WC World Currency Option

X Trust

Y Other

Z Not Applicable

Documents

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